From 24c817afa7a5b67e548cf6538de966ca5569c315 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Ry=C3=BBk=29?=
 <stepan@adjemian.eu>
Date: Fri, 17 Dec 2021 18:02:24 +0100
Subject: [PATCH] Add integration tests for NLS estimation.

---
 tests/Makefile.am                             |  5 +-
 .../univariate/nls/dynamicmodel.mod           | 48 ++++++++++++++++++
 .../estimation/univariate/nls/staticmodel.mod | 46 +++++++++++++++++
 .../univariate/nls/staticmodelx.mod           | 49 +++++++++++++++++++
 4 files changed, 147 insertions(+), 1 deletion(-)
 create mode 100644 tests/estimation/univariate/nls/dynamicmodel.mod
 create mode 100644 tests/estimation/univariate/nls/staticmodel.mod
 create mode 100644 tests/estimation/univariate/nls/staticmodelx.mod

diff --git a/tests/Makefile.am b/tests/Makefile.am
index 37fecb676..d2f378f3e 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -82,6 +82,8 @@ MODFILES = \
 	estimation/system_prior_restriction/Gali_2015.mod \
 	estimation/no_init_estimation_check_first_obs/fs2000_init_check.mod \
 	estimation/example_nls.mod \
+	estimation/univariate/nls/staticmodel.mod \
+	estimation/univariate/nls/dynamicmodel.mod \
 	moments/example1_var_decomp.mod \
 	moments/example1_bp_test.mod \
 	moments/test_AR1_spectral_density.mod \
@@ -632,7 +634,8 @@ XFAIL_MODFILES = ramst_xfail.mod \
 	estimation/tune_mh_jscale/fs2000_2_xfail.mod \
 	estimation/no_init_estimation_check_first_obs/fs2000_init_check_XFAIL.mod \
 	estimation/no_init_estimation_check_first_obs/fs2000_init_check_XFAIL2.mod \
-	var-expectations/1-with-time-shift-b/example1.mod
+	var-expectations/1-with-time-shift-b/example1.mod \
+	estimation/univariate/nls/staticmodelx.mod
 
 MFILES = histval_initval_file/ramst_initval_file_data.m
 
diff --git a/tests/estimation/univariate/nls/dynamicmodel.mod b/tests/estimation/univariate/nls/dynamicmodel.mod
new file mode 100644
index 000000000..591adab6c
--- /dev/null
+++ b/tests/estimation/univariate/nls/dynamicmodel.mod
@@ -0,0 +1,48 @@
+// --+ options: json=compute, stochastic +--
+
+var y x z;
+
+varexo ey ex ez;
+
+parameters gamma rho;
+
+gamma = .3;
+rho = .9;
+
+model;
+
+  [name='eqx']
+  x = x(-1)^.8*exp(ex) ;
+
+  [name='eqz']
+  z = exp(ez);
+
+  [name='eqy']
+  y = x^(1-gamma)*z^gamma*abs(y(-1))^rho + ey;
+
+end;
+
+histval;
+  x(0) = 0.1;
+  z(0) = 0.5;
+end;
+
+shocks;
+  var ex = .05;
+  var ez = .05;
+  var ey = .01;
+end;
+
+// Simulate a sample.
+simulations = simul_backward_model([], 5000);
+
+// Set residuals in the estimated equation to NaNs.
+simulations.ey = dseries(NaN);
+
+// Set initial guess for the estimated parameter.
+clear('eparams')
+eparams.gamma = 0.6;
+eparams.rho = 0.3;
+
+// Call estimation routine.
+estimate.nls('eqy', eparams, simulations, 1001Y:5000Y, 'annealing')
diff --git a/tests/estimation/univariate/nls/staticmodel.mod b/tests/estimation/univariate/nls/staticmodel.mod
new file mode 100644
index 000000000..f7b532af2
--- /dev/null
+++ b/tests/estimation/univariate/nls/staticmodel.mod
@@ -0,0 +1,46 @@
+// --+ options: json=compute, stochastic +--
+
+var y x z;
+
+varexo ey ex ez;
+
+parameters theta gamma;
+
+gamma = .3;
+
+model;
+
+  [name='eqx']
+  x = x(-1)^.8*exp(ex) ;
+
+  [name='eqz']
+  z = exp(ez);
+
+  [name='eqy']
+  y = x^(1-gamma)*z^gamma + ey;
+
+end;
+
+histval;
+  x(0) = 0.1;
+  z(0) = 0.5;
+end;
+
+shocks;
+  var ex = .05;
+  var ez = .05;
+  var ey = .01;
+end;
+
+// Simulate a sample.
+simulations = simul_backward_model([], 5000);
+
+// Set residuals in the estimated equation to NaNs.
+simulations.ey = dseries(NaN);
+
+// Set initial guess for the estimated parameter.
+clear('eparams')
+eparams.gamma = 0.6;
+
+// Call estimation routine.
+estimate.nls('eqy', eparams, simulations, 1001Y:5000Y, 'annealing')
diff --git a/tests/estimation/univariate/nls/staticmodelx.mod b/tests/estimation/univariate/nls/staticmodelx.mod
new file mode 100644
index 000000000..321a0c117
--- /dev/null
+++ b/tests/estimation/univariate/nls/staticmodelx.mod
@@ -0,0 +1,49 @@
+// --+ options: json=compute, stochastic +--
+
+var y x z;
+
+varexo ey ex ez;
+
+parameters theta gamma;
+
+gamma = .3;
+
+model;
+
+  [name='eqx']
+  x = x(-1)^.8*exp(ex) ;
+
+  [name='eqz']
+  z = exp(ez);
+
+  [name='eqy']
+  y = x^(1-gamma)*z^gamma + ey;
+
+end;
+
+histval;
+  x(0) = 0.1;
+  z(0) = 0.5;
+end;
+
+shocks;
+  var ex = .05;
+  var ez = .05;
+  var ey = .01;
+end;
+
+// Simulate a sample.
+simulations = simul_backward_model([], 5000);
+
+// Set residuals in the estimated equation to NaNs.
+simulations.ey = dseries(NaN);
+
+// Add a missing NaN in the database, this should trigger an error in estimate.nls.
+simulations.z(1002Y) = NaN;
+
+// Set initial guess for the estimated parameter.
+clear('eparams')
+eparams.gamma = 0.6;
+
+// Call estimation routine.
+estimate.nls('eqy', eparams, simulations, 1001Y:5000Y, 'annealing')